Real Madrid set a club record of 35 games unbeaten in all competitions with a late rally for a 3-2 win against Deportivo on Saturday.
They needed a remarkable comeback to extend the run. Substitute Mariano Diaz equalised with six minutes left and Sergio Ramos sent the Bernabeu into delirium when he powered in a header from a corner during stoppage-time -- just a week after his late equaliser against Barcelona.
Madrid had equalled the record with a 2-2 draw against Borussia Dortmund in the Champions League on Wednesday that saw the holders only qualify for the knockout stages of the competition as runners-up in Group F.
The record of 34 games unbeaten was set by Leo Beenhakker during the 1988-89 campaign when they won the Primera Division title, only losing once in 38 games.
Zidane's side broke Carlo Ancelotti's record of 32 games unbeaten with a 6-1 Copa del Rey win against Cultural Leonesa earlier this month.
Speaking about the record in his postgame news conference, Zidane said he had felt lucky all through his career, while warning that there was still a long way to go before his team would win anything important this season.
"I have a [lucky] star, I thought that when I was a player and again now," Zidane said. "I am very lucky to have this life and I try and enjoy it as much as I can.
"We are only halfway through the season, and there will be difficult moments. I want to enjoy this, but we have not yet achieved anything."
The Primera Division record for matches unbeaten is held by Barcelona (39 games), set during the 2015-16 campaign, while Juventus hold the European record for their unbeaten run of 43 matches when current Chelsea manager Antonio Conte was in charge back in 2011-12.
Real's last defeat was 2-0 at Wolfsburg in the Champions League on April 6 last season and since then they have recorded 24 victories and nine draws in all competitions, while scoring 94 goals and conceding just 31.
"This is thanks to the players, that's the truth," Zidane said. "They did it, and the fans too, who help a lot at the end of games. We do not think we are invincible. We will lose a game. But the players think positively and that helps us.
"This run of 35 games will give us strength to keep going. I am happy as well as we rested some players, and those who came in did very well, which is very important for the group."
Ramos headed in Toni Kroos' corner for the winner in the 92nd minute, which also kept Madrid six points clear of Barcelona atop the La Liga table.
Zidane said his players had made a huge effort in digging themselves out of a hole they found themselves in after Casemiro and Ramos were at fault for their former teammate Joselu's two goals.
"We played an impressive game tonight and I am happy for the players," he said. "We suffered but they believed until the end. We made a mistake in one play, but that can happen. We believed and we did it. It was a crazy game.
"As the players put such a huge effort in, they are convinced that things will come out for them. It is not easy when you are behind on the scoreboard, but we were relaxed and the substitutions helped a lot too."
Ramos famously equalised in the 93rd minute of the 2014 Champions League final against Atletico Madrid, and in just over two years since he has at least four times headed late crucial goals, including in last weekend's 1-1 Clasico draw at Barcelona.
"We know Sergio can do this," Zidane said. "He is our captain and he gives energy to the others. He is good in the air. You can try and mark him, but he is very clever and moves very well. He always goes where the ball will land. Depor have very good defenders, but they could do nothing."
Information from ESPN FC's La Liga writer Dermot Corrigan was used in this report.
